| There is a long price difference between A shares and H shares in the same company.The main reason is that there is no interoperability mechanism in the mainland and Hongkong stock markets.The opening of Shanghai-HongKong Stock Connect has broken the segmentation of the two markets.The arbitrage trading of the two market arbitrages should quickly reduce the price difference of AH shares,but from the Hengsheng AH share premium index that reacts to the AH difference in stock prices,Its trend is not as expected,but it has risen to a certain extent.From the point of view of rational people in traditional economics,arbitrage trade does not allow such a financial vision to appear,while behavioral finance holds that arbitrage is risky,so the explanation of limited arbitrage is more convincing.This paper proposes three risk factors in arbitrage: noise traders,interest rate changes in China and the United States,and margin financing,which are reduced to arbitrage risk factors.This paper anticipates that these three arbitrage risks can explain this financial anomaly very well.The thesis verifies this view from two aspects:theoretical analysis and empirical analysis.In the theoretical analysis,this paper combs the historical logic of AH stock price difference,analyzes the two policies of Shanghai Stock Connect and Shenzhen-Hong Kong Stock Connect in stages,and divides the samples of AH stock into Shanghai Stock Exchange and Shenzhen Stock Exchange,which is more targeted.During the period of Stock Connect between Shanghai and HongKong,we first analyzed the influence of the interconnection mechanism itself on the AH stock price difference inShanghai Stock Exchange,mainly analyzed and discussed the details of the mechanism itself and its announcement effect and fund flow effect.Then,aiming at the three arbitrage risk factors,this paper compares the investment atmosphere and environment between A shares and H shares in order to analyze the influence of noise traders on the AH stock price difference in Shanghai stock market.At the same time,it analyzes the change of interest rate between China and the United States.And A-share market margin trading on the Shanghai Stock Exchange AH stock price difference.During the period of Shenzhen Hong Kong Link,the difference of AH stock price in Shenzhen Stock Exchange was analyzed by using similar methods.In the empirical analysis,the theoretical analysis of the logic.During the Shanghai-Hong Kong Stock Connect period,the daily trading data of 67 Shanghai stock exchanges from April 10,2013 to November 17,2015 were selected.During the Shenzhen-Hong Kong link period,the daily trading data were selected from 17 Shenzhen stock exchanges between August 1,2013 and December 6,2017.In this paper,the fixed effect panel model is used to test the effect of the announcement effect and the capital flow effect of the interconnection mechanism on the AH stock price difference between Shanghai and Shenzhen stock markets,and then to test the influence of arbitrage risk factors on the AH stock price difference between Shanghai and Shenzhen stock markets.And at the time The interval period distinguishes the period of announcement effect from the period of capital flow.The results show that the stock price gap of Shanghai Stock Connect has not been converged,but Shenzhen-Hong Kong Stock Connect has a significant effect on the convergence of AH stock price difference in Shenzhen Stock Exchange,the mechanism of interconnection has the function of increasing marginal utility.Noise traders have a significant impact on the AH stock price difference in Shanghai and Shenzhen stock markets.When the volatility of the two markets is intense,noise traders will significantly affect arbitrage traders,while when the volatility of the two stock markets is stable,the noise traders will significantly affect the arbitrage traders,and when the volatility of the two stock markets is stable,Noise traders have little influence on arbitrage traders.The change of interest rate in China and America andmargin have an effect on the AH stock price difference in Shanghai Stock Exchange,and margin has the most significant influence in the period of capital flow effect.As for the difference in AH stock price in Shenzhen,the interest rate between China and the United States has changed.Transformation has an impact on it,while margin financing has no significant impact.This paper innovatively uses arbitrage risk factors to explain the change of AH stock price difference,and uses the latest data to test the influence of Shenzhen-Hong Kong Stock Connect. |
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